glassoFast-package {glassoFast}

glassoFast: a Fast Graphical LASSO

Description

This package propose a fast implementation of the graphical LASSO of Friedman et al. 2008 based on the algorithm (FORTRAN subroutine) of Sustik and Calderhead (2012). This algorithm also avoid non-termination issues observed for the "glasso" function of the R package glasso.

Details

Package:	glassoFast
Type:	Package
Version:	1.0.1
Date:	2017-06-07
License:	GPL (>=3.0)

The original FORTRAN Subroutine was taken from (now broken link):

http://www.cs.utexas.edu/users/sustik/glassofast/

Author(s)

Julien Clavel

Maintainer: Julien Clavel <[e-mail]>

References

Friedman J., Hastie T., Tibshirani R. 2008. Sparse inverse covariance estimation with the graphical lasso. Biostatistics. 9:432-441.

Sustik M.A., Calderhead B. 2012. GLASSOFAST: An efficient GLASSO implementation. UTCS Technical Report TR-12-29:1-3.

See Also

glassoFast